政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99313
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 109952/140891 (78%)
造访人次 : 46261450      在线人数 : 718
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/99313


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/99313


    题名: 美國退休福利保險公司狀態轉換保險評價模型
    The Pricing Model of Pension Benefit Guaranty Corporation Insurance with Regime Switching Processes
    作者: 王暐豪
    Wang, Wei Hao
    贡献者: 林士貴
    蔡紋琦
    Lin, Shih Kuei
    Tsai, Wen Chi
    王暐豪
    Wang, Wei Hao
    关键词: 美國退休福利保險公司(PBGC)
    狀態轉換過程模型
    EM 演算法
    Pension Benefit Guaranty Corporation(PBGC)
    Regime Switching Process
    EM Algorithm
    日期: 2016
    上传时间: 2016-07-20 16:52:38 (UTC+8)
    摘要: 本文研究美國退休福利保險公司(PBGC)保險價值的計算,延伸 Marcus (1987)模型,提出狀態轉換過程保險價值模型計算,也就是將市場分為兩種情況,正成長率視為正常狀態,負成長率為衰退狀態,利用狀態轉換過程評價 PBGC 契約在經濟困難而終止和介入終止下合理的保險價值。在參數估計方面,本文以 S&P500股價指數和一年期國庫券資料參數估計值及Marcus(1987)和Pennacchi and Lewis(1994)的方式給定參數,以 EM-PSO-Gradient 延伸 EM-Gradient 方法並以最大概似函數值、AIC 準則和 BIC 準則比較估計結果。最後固定其他參數, 探討狀態轉換過程保險價值模型對參數調整後保險價值的影響之敏感度分析。
    In this paper, we evaluate Pension Benefit Guaranty Corporation insurance values through regime switching models, which is the extension of the models of Marcus (1987). That is, we can separate periods of economy with faster growth from those with slower growth when observing long-term trends in economy and calculate the reasonable PBGC insurance values under distress termination and intervention termination by regime switching processes. We set parameters by estimating S&P 500 index and 1-year treasury bills by EM-PSO-Gradient, which is the extensive method of EM-Gradient and refer the methods of setting parameters from Marcus (1987) and Pennacchi and Lewis (1994). After that, we compare the maximum likelihood estimates, AIC and BIC of the estimative results. Finally, we do sensitivity analysis through given the other parameters and look into what would impact on our models of insurance values when adjusting one parameter.
    參考文獻: [1] Akaike, H., 1974. A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6): 716-723.
    [2] Black, F., & Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy, 81(3): 637-654.
    [3] Bodie, Z., Marcus, A. J., & Merton, R. C., 1988. Pensions in the U.S. Economy. University of Chicago Press.
    [4] Dempster, A. P., Laird, N. M., & Rubin, D. B., 1977. Maximum likelihood from incomplete data via EM algorithm. Journal of the Royal Statistical Society. Series
    B (Methodological), 39(1): 1-38.
    [5] Ehiwario, J. C., & Aghamie, S. O., 2014. Comparative study of bisection, Newton-Raphson and secant methods of root-finding problems. IOSR Journal of Engineering, 4(4): 1-7.
    [6] Hamilton, J. D., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57: 357-384.
    [7] Hsieh, S. J., Chen, A. H., & Ferris, K. R., 1994. The valuation of PBGC insurance premiums using an option pricing model. The Journal of Finance and
    Quantitative Analysis, 29(1): 89-99.
    [8] Jordan, M., & Jacobs, R. A., 1994. Hierarchical mixtures of experts and the EM
    algorithm. Neural Computation, 6(2): 181-214.
    [9] Karla, R., & Jain, G., 1997. A continuous-time model to determine the intervention policy for PBGC. Journal of Banking and Finance, 21: 1159-1177.
    [10] Kennedy, J., & Eberhart, R., 1995. Neural Networks. Paper presented at Proceedings of IEEE International Conference.
    [11]Lange, K., 1995. A quasi-newton acceleration of the EM algorithm. Statistica Sinica, 5: 1-18.
    [12] Lee, J. P., & Yu, M. T., 2006. Closure rules and the valuation of pension benefit guaranty. Paper presented at Financial Management Association Annual Meeting,
    Salt Lake City U.S.A.
    [13] Marcus, A. J., 1987. Corporate pension policy and the value of PBGC insurance, in Bodie, Z., J. Shoven, and D. A. Wise (Eds), Issues in Pension Economics, University of Chicago Press: 49-79.
    [14] Pension benefit guaranty corporation, 2013. Pension Insurance Data Book. [15] Pension benefit guaranty corporation, 2013. PBGC FY 2013 Projections Report.
    [16] Pennacchi, G. G., & Lewis, C. M., 1994. The value of pension benefit guaranty
    corporation insurance. Journal of Money, Credit and Banking, 26(3), Part 2: Federal Credit Allocation: Theory, Evidence, and History: 735-753.
    [17]Schwarz, G., 1978. Estimating the dimension of a model. Annals of Statistics, 6(2): 461-464.
    描述: 碩士
    國立政治大學
    統計學系
    103354024
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103354024
    数据类型: thesis
    显示于类别:[統計學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    402401.pdf1550KbAdobe PDF284检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈